VTI
Vanguard Total Stock Market Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-06-13
Executive Summary
The quantitative backtest for VTI (Vanguard Total Stock Market Index Fund ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.2% (compared to the benchmark's drawdown of -55.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.9%, compared to a Buy-and-Hold benchmark return of 11.2%. The strategy executed 12 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA Active
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
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VTI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 24.80% | 24.80% | 8.42% | 12.18% | 15.39% | 15.01% | 11.95% | 11.23% |
| Sharpe Ratio | 1.76 | 1.76 | 0.57 | 0.66 | 0.98 | 0.76 | 0.80 | 0.57 |
| Max Drawdown | -8.92% | -8.92% | -20.61% | -25.36% | -20.61% | -35.00% | -26.25% | -55.45% |
| % Time Invested | 100.0% | 100.0% | 76.1% | 100.0% | 86.0% | 100.0% | 87.4% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-04-30 | Open | Open | 100% | $265.97 | $366.36 | 37.75% | Mark-to-Market |
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2023-11-08 | 2025-04-07 | Completed | 100% | $209.34 | $237.20 | 13.31% | Stop |
| 2022-11-07 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.11% | Interest Income |
| 2022-10-18 | 2022-11-07 | Completed | 100% | $179.11 | $180.49 | 0.77% | Signal |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2022-05-25 | 2022-09-26 | Completed | 100% | $185.02 | $174.69 | -5.58% | Stop |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income |
| 2020-03-24 | 2022-05-03 | Completed | 100% | $107.37 | $196.86 | 83.35% | Stop |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2019-01-15 | 2020-03-02 | Completed | 100% | $118.38 | $138.20 | 16.75% | Stop |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2016-08-24 | 2018-12-20 | Completed | 100% | $95.94 | $113.52 | 18.33% | Stop |
| 2016-07-27 | 2016-08-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income |
| 2015-09-17 | 2016-07-27 | Completed | 100% | $86.70 | $95.07 | 9.65% | Signal |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $48.69 | $84.83 | 74.22% | Stop |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2010-06-01 | 2011-08-09 | Completed | 100% | $41.84 | $45.06 | 7.71% | Stop |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2009-07-22 | 2010-05-07 | Completed | 100% | $35.50 | $43.53 | 22.61% | Stop |
| 2008-07-16 | 2009-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.50% | Interest Income |
| 2008-02-12 | 2008-07-16 | Completed | 100% | $48.45 | $44.22 | -8.73% | Stop |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income |
| 2003-09-05 | 2008-01-18 | Completed | 100% | $32.78 | $47.46 | 44.78% | Stop |
| 2003-06-13 | 2003-09-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income |